Is there any optimization method/solver in mystic or scipy.optimization library that solves the problem in the matrix domain. In other words, is there any optimization method/solver that accepts matrix as an argument and minimizes its trace?
Matrix Trace Minimization Problem using optimization method/solver
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The trace of a matrix is:
So, depending on the rest of the model, (almost) any solver will allow you to use an objective like this. It is linear and is as easy and well-behaved as it gets. It is about the best objective you will ever see.